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Parameter estimation and practical aspects of modeling stochastic volatility
Jungbacker, Borus; Koopman, Siem Jan - In: Handbook of financial time series, (pp. 313-344). 2009
Persistent link: https://www.econbiz.de/10003833957
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An hourly periodic state space model for modelling French national electricity load
Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - In: International journal of forecasting 24 (2008) 4, pp. 566-587
Persistent link: https://www.econbiz.de/10003808308
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Spline smoothing over difficult regions : a state space approach
Koopman, Siem Jan; Wong, Soon Yip - 2008
Persistent link: https://www.econbiz.de/10003811428
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Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009
Persistent link: https://www.econbiz.de/10003851230
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A general framework for observation driven time-varying parameter models
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2009
Persistent link: https://www.econbiz.de/10003854422
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Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
Koopman, Siem Jan; Lucas, André; Ooms, Marius; … - 2007
Persistent link: https://www.econbiz.de/10003482698
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Modeling around-the-clock price discovery for cross-listed stocks using state space methods
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 2, pp. 213-225
Persistent link: https://www.econbiz.de/10003463648
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Periodic unobserved cycles in seasonal time series with an application to US unemployment
Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006
Persistent link: https://www.econbiz.de/10003408447
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Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series
Koopman, Siem Jan; Wong, Soon Yip - 2006
Persistent link: https://www.econbiz.de/10003408454
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Credit cycles and macro fundamentals
Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006
Persistent link: https://www.econbiz.de/10003446486